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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
AUGUST 2017
YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS
DOCUMENT |
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BH Macro Limited |
Overview |
Manager:
Brevan Howard Capital Management LP (“BHCM”)
Administrator:
Northern Trust International Fund Administration Services
(Guernsey) Limited (“Northern Trust”)
Corporate Broker:
J.P. Morgan Cazenove
Listings:
London Stock Exchange (Premium Listing)
NASDAQ Dubai - USD Class (Secondary listing)
Bermuda Stock Exchange (Secondary listing) |
BH Macro Limited (“BHM”) is a closed-ended investment
company, registered and incorporated in Guernsey on 17 January 2007
(Registration Number: 46235).
BHM invests all of its assets (net of short-term working capital)
in the ordinary shares of Brevan Howard Master Fund Limited (the
“Fund”).
BHM was admitted to the Official List of the UK Listing Authority
and to trading on the Main Market of the London Stock Exchange on
14 March 2007. |
Total
Assets: |
$456 mm¹ |
|
1. As at 31 August 2017. Source: BHM's administrator,
Northern Trust.
|
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 31 August 2017) |
Share Class |
NAV
(USD mm) |
NAV
per Share |
USD Shares |
61.9 |
$21.90 |
GBP Shares |
394.4 |
£21.84 |
|
BH Macro Limited NAV per Share % Monthly Change |
USD |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
|
|
0.10 |
0.90 |
0.15 |
2.29 |
2.56 |
3.11 |
5.92 |
0.03 |
2.96 |
0.75 |
20.27 |
2008 |
9.89 |
6.70 |
-2.79 |
-2.48 |
0.77 |
2.75 |
1.13 |
0.75 |
-3.13 |
2.76 |
3.75 |
-0.68 |
20.32 |
2009 |
5.06 |
2.78 |
1.17 |
0.13 |
3.14 |
-0.86 |
1.36 |
0.71 |
1.55 |
1.07 |
0.37 |
0.37 |
18.04 |
2010 |
-0.27 |
-1.50 |
0.04 |
1.45 |
0.32 |
1.38 |
-2.01 |
1.21 |
1.50 |
-0.33 |
-0.33 |
-0.49 |
0.91 |
2011 |
0.65 |
0.53 |
0.75 |
0.49 |
0.55 |
-0.58 |
2.19 |
6.18 |
0.40 |
-0.76 |
1.68 |
-0.47 |
12.04 |
2012 |
0.90 |
0.25 |
-0.40 |
-0.43 |
-1.77 |
-2.23 |
2.36 |
1.02 |
1.99 |
-0.36 |
0.92 |
1.66 |
3.86 |
2013 |
1.01 |
2.32 |
0.34 |
3.45 |
-0.10 |
-3.05 |
-0.83 |
-1.55 |
0.03 |
-0.55 |
1.35 |
0.40 |
2.70 |
2014 |
-1.36 |
-1.10 |
-0.40 |
-0.81 |
-0.08 |
-0.06 |
0.85 |
0.01 |
3.96 |
-1.73 |
1.00 |
-0.05 |
0.11 |
2015 |
3.14 |
-0.60 |
0.36 |
-1.28 |
0.93 |
-1.01 |
0.32 |
-0.78 |
-0.64 |
-0.59 |
2.36 |
-3.48 |
-1.42 |
2016 |
0.71 |
0.73 |
-1.77 |
-0.82 |
-0.28 |
3.61 |
-0.99 |
-0.17 |
-0.37 |
0.77 |
5.02 |
0.19 |
6.63 |
2017 |
-1.47 |
1.91 |
-2.84 |
3.84 |
-0.60 |
-1.39 |
1.54 |
0.19 |
|
|
|
|
1.03 |
|
EUR |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
|
|
0.05 |
0.70 |
0.02 |
2.26 |
2.43 |
3.07 |
5.65 |
-0.08 |
2.85 |
0.69 |
18.95 |
2008 |
9.92 |
6.68 |
-2.62 |
-2.34 |
0.86 |
2.84 |
1.28 |
0.98 |
-3.30 |
2.79 |
3.91 |
-0.45 |
21.65 |
2009 |
5.38 |
2.67 |
1.32 |
0.14 |
3.12 |
-0.82 |
1.33 |
0.71 |
1.48 |
1.05 |
0.35 |
0.40 |
18.36 |
2010 |
-0.30 |
-1.52 |
0.03 |
1.48 |
0.37 |
1.39 |
-1.93 |
1.25 |
1.38 |
-0.35 |
-0.34 |
-0.46 |
0.93 |
2011 |
0.71 |
0.57 |
0.78 |
0.52 |
0.65 |
-0.49 |
2.31 |
6.29 |
0.42 |
-0.69 |
1.80 |
-0.54 |
12.84 |
2012 |
0.91 |
0.25 |
-0.39 |
-0.46 |
-1.89 |
-2.20 |
2.40 |
0.97 |
1.94 |
-0.38 |
0.90 |
1.63 |
3.63 |
2013 |
0.97 |
2.38 |
0.31 |
3.34 |
-0.10 |
-2.98 |
-0.82 |
-1.55 |
0.01 |
-0.53 |
1.34 |
0.37 |
2.62 |
2014 |
-1.40 |
-1.06 |
-0.44 |
-0.75 |
-0.16 |
-0.09 |
0.74 |
0.18 |
3.88 |
-1.80 |
0.94 |
-0.04 |
-0.11 |
2015 |
3.34 |
-0.61 |
0.40 |
-1.25 |
0.94 |
-0.94 |
0.28 |
-0.84 |
-0.67 |
-0.60 |
2.56 |
-3.22 |
-0.77 |
2016 |
0.38 |
0.78 |
-1.56 |
-0.88 |
-0.38 |
3.25 |
-0.77 |
0.16 |
-0.56 |
0.59 |
5.37 |
0.03 |
6.37 |
2017 |
-1.62 |
1.85 |
-3.04 |
0.54 |
-0.76* |
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|
|
-3.07 |
|
GBP |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
|
|
0.11 |
0.83 |
0.17 |
2.28 |
2.55 |
3.26 |
5.92 |
0.04 |
3.08 |
0.89 |
20.67 |
2008 |
10.18 |
6.86 |
-2.61 |
-2.33 |
0.95 |
2.91 |
1.33 |
1.21 |
-2.99 |
2.84 |
4.23 |
-0.67 |
23.25 |
2009 |
5.19 |
2.86 |
1.18 |
0.05 |
3.03 |
-0.90 |
1.36 |
0.66 |
1.55 |
1.02 |
0.40 |
0.40 |
18.00 |
2010 |
-0.23 |
-1.54 |
0.06 |
1.45 |
0.36 |
1.39 |
-1.96 |
1.23 |
1.42 |
-0.35 |
-0.30 |
-0.45 |
1.03 |
2011 |
0.66 |
0.52 |
0.78 |
0.51 |
0.59 |
-0.56 |
2.22 |
6.24 |
0.39 |
-0.73 |
1.71 |
-0.46 |
12.34 |
2012 |
0.90 |
0.27 |
-0.37 |
-0.41 |
-1.80 |
-2.19 |
2.38 |
1.01 |
1.95 |
-0.35 |
0.94 |
1.66 |
3.94 |
2013 |
1.03 |
2.43 |
0.40 |
3.42 |
-0.08 |
-2.95 |
-0.80 |
-1.51 |
0.06 |
-0.55 |
1.36 |
0.41 |
3.09 |
2014 |
-1.35 |
-1.10 |
-0.34 |
-0.91 |
-0.18 |
-0.09 |
0.82 |
0.04 |
4.29 |
-1.70 |
0.96 |
-0.04 |
0.26 |
2015 |
3.26 |
-0.58 |
0.38 |
-1.20 |
0.97 |
-0.93 |
0.37 |
-0.74 |
-0.63 |
-0.49 |
2.27 |
-3.39 |
-0.86 |
2016 |
0.60 |
0.70 |
-1.78 |
-0.82 |
-0.30 |
3.31 |
-0.99 |
-0.10 |
-0.68 |
0.80 |
5.05 |
0.05 |
5.79 |
2017 |
-1.54 |
1.86 |
-2.95 |
0.59 |
-0.68 |
-1.48 |
1.47 |
0.09 |
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|
-2.69 |
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*As previously announced by the Company, the Company
determined that all remaining shares in the Euro share class be
converted into Sterling shares effective as of 29 June 2017 and all Euro shares held by the
Company in treasury were cancelled on that date. The Euro
share class has been closed and its listing has been cancelled.
Source: Fund NAV data is provided by the administrator of the Fund,
International Fund Services (Ireland) Limited (“IFS”). BHM NAV and
NAV per Share data is provided by BHM’s administrator, Northern
Trust. BHM NAV per Share % Monthly Change is calculated by BHCM.
BHM NAV data is unaudited and net of all investment management and
all other fees and expenses payable by BHM. In addition, the Fund
is subject to an operational services fee.
With effect from 1 April 2017, the
management fee is 0.5% per annum. BHM’s investment in the Fund
is subject to an operational services fee of 0.5% per annum.
No management fee or operational services fee is charged in respect
of performance related growth of NAV for each class of share in
excess of its level on 1 April 2017
as if the tender offer commenced by BHM on 27 January 2017 had completed on 1 April 2017.
NAV performance is provided for information purposes only. Shares
in BHM do not necessarily trade at a price equal to the prevailing
NAV per Share.
Data as at 31 August 2017
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. |
ASC 820 Asset Valuation Categorisation on a non
look-through basis*
ASC 820 Asset Valuation Categorisation on a look-through
basis*
Performance Review
|
Brevan Howard Master
Fund Limited |
Unaudited as at 31
August 2017 |
|
% of
Gross Market Value* |
Level 1 |
75.0 |
Level 2 |
16.6 |
Level 3 |
0.0 |
At NAV |
8.3 |
Source: BHCM
* This data is unaudited and has been calculated by BHCM using
the same methodology as that used in the most recent audited
financial statements of the Fund. The relative size of each
category is subject to change. Sum may not total 100% due to
rounding.
Level 1: This represents the level of assets in the portfolio
which are priced using unadjusted quoted prices in active markets
that are accessible at the measurement date for identical,
unrestricted assets or liabilities.
Level 2: This represents the level of assets in the portfolio
which are priced using either (i) quoted prices that are identical
or similar in markets that are not active or (ii) model-derived
valuations for which all significant inputs are observable, either
directly or indirectly in active markets.
Level 3: This represents the level of assets in the portfolio
which are priced or valued using inputs that are both significant
to the fair value measurement and are not observable directly or
indirectly in an active market.
At NAV: This represents the level of assets in the portfolio
that are invested in other Brevan Howard funds and priced or valued
at NAV.
|
% of
Gross Market Value* |
Level 1 |
82.0 |
Level 2 |
17.9 |
Level 3 |
0.0 |
Source: BHCM
* This data reflects the combined ASC 820 levels of the Fund and
the underlying allocations in which the Fund is invested,
proportional to each of the underlying allocation’s weighting in
the Fund’s portfolio. The data is unaudited and has been calculated
by BHCM using the same methodology as that used in the most recent
audited financial statements of the Fund and any underlying funds
(as the case may be). The relative size of each category is subject
to change. Sum may not total 100% due to rounding.
Level 1: This represents the level of assets in the portfolio
which are priced using unadjusted quoted prices in active markets
that are accessible at the measurement date for identical,
unrestricted assets or liabilities.
Level 2: This represents the level of assets in the portfolio
which are priced using either (i) quoted prices that are identical
or similar in markets that are not active or (ii) model-derived
valuations for which all significant inputs are observable, either
directly or indirectly in active markets.
Level 3: This represents the level of assets in the portfolio
which are priced or valued using inputs that are both significant
to the fair value measurement and are not observable directly or
indirectly in an active market.
The information in this section has been provided to BHM by
BHCM.
Performance across most asset classes was relatively muted, with
modest gains overall coming, for the most part, from FX trading
and, to a lesser extent, commodities trading, whilst interest rate
trading incurred losses. Gains in FX trading came primarily from
directional trading and option structures long the euro currency
against the US dollar, and to a lesser degree from short positions
in GBP. Gains from short NZD exposure were offset by losses from
long CAD. Interest rate trading losses were driven by directional
and curve positioning in US rates as well as small losses from
tactical relative value positions in US and European asset swaps.
Small commodity trading gains mostly came from positions around a
long gold theme.
The performance review and attributions are derived from data
calculated by BHCM, based on total performance data for each period
provided by the Fund’s administrator (IFS) and risk data provided
by BHCM, as at 31 August 2017.
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Performance by Asset Class
Monthly, quarterly and annual
contribution (%) to the performance of BHM USD Shares (net of fees
and expenses) by asset class as at 31 August
2017
2017 |
Rates |
FX |
Commodity |
Credit |
Equity |
Tender Offer |
Total |
August
2017 |
-0.39 |
0.40 |
0.11 |
0.06 |
0.02 |
0.00 |
0.19 |
Q1
2017 |
0.25 |
-3.06 |
-0.01 |
0.28 |
0.12 |
0.00 |
-2.44 |
Q2
2017 |
-1.81 |
-0.48 |
-0.14 |
-0.02 |
-0.14 |
4.46 |
1.79 |
QTD
2017 |
-0.44 |
2.08 |
0.17 |
0.07 |
-0.14 |
0.00 |
1.73 |
YTD
2017 |
-1.99 |
-1.52 |
0.02 |
0.33 |
-0.16 |
4.46 |
1.03 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
Methodology and Definition of
Contribution to Performance:
Attribution by asset class is produced at the instrument level,
with adjustments made based on risk estimates.
The above asset classes are categorised as follows:
“Rates”: interest rates markets
“FX”: FX forwards and options
“Commodity”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds and
CDS
“Equity”: equity markets including indices and other
derivatives
“Tender Offer”: repurchases under the tender offer
launched on 27 January 2017.
Performance by Strategy Group
Monthly, quarterly and annual
contribution (%) to the performance of BHM USD Shares (net of fees
and expenses) by strategy group as at 31
August 2017
2017 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Tender Offer |
Total |
August 2017 |
0.03 |
0.01 |
-0.06 |
0.07 |
-0.00 |
0.05 |
0.09 |
-0.00 |
0.00 |
0.19 |
Q1 2017 |
-2.29 |
-0.03 |
-0.18 |
-0.51 |
-0.00 |
0.35 |
0.23 |
-0.00 |
0.00 |
-2.44 |
Q2 2017 |
-2.64 |
-0.08 |
0.17 |
0.01 |
-0.00 |
0.01 |
-0.05 |
-0.00 |
4.46 |
1.79 |
QTD 2017 |
1.41 |
0.07 |
-0.09 |
0.09 |
-0.00 |
0.05 |
0.20 |
-0.00 |
0.00 |
1.73 |
YTD 2017 |
-3.52 |
-0.04 |
-0.10 |
-0.41 |
-0.00 |
0.41 |
0.37 |
-0.00 |
4.46 |
1.03 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
Methodology and Definition of
Contribution to Performance:
Strategy Group attribution is approximate and has been derived
by allocating each trader book in the Fund to a single category. In
cases where a trader book has activity in more than one category,
the most relevant category has been selected.
The above strategies are categorised as follows:
“Macro”: multi-asset global markets, mainly directional
(for the Fund, the majority of risk in this category is in
rates)
“Systematic”: rules-based futures trading
“Rates”: developed interest rates markets
“FX”: global FX forwards and options
“Equity”: global equity markets including indices and
other derivatives
“Credit”: corporate and asset-backed indices, bonds and
CDS
“EMG”: global emerging markets
“Commodity”: liquid commodity futures and options
“Tender Offer”: repurchases under the tender offer
launched on 27 January 2017.
|
Manager's Market Review and Outlook |
The information in
this section has been provided to BHM by BHCM |
US
Real GDP growth in the second quarter was revised up to 3% at an
annualised rate, paced by solid household spending and business
investment. Indicators early in the current quarter suggest the
momentum was maintained. However, Hurricane Harvey appears likely
to subtract from growth in the third, and perhaps, fourth quarters.
Early estimates of the potential economic impact are inevitably
uncertain. Based on similar events like Hurricanes Katrina and
Sandy, the subtraction may be as much as a few tenths of GDP. Over
a longer period, rebuilding will add to GDP. The labour market
posted a smaller gain in payroll employment in August than seen in
recent months and there was an uptick in the unemployment rate to
4.4%. With the workweek also moving down and continued mediocre
gains in wages, the overall tone of the latest data pointed to
further absorption of slack, but nothing to generate inflationary
bottlenecks. If history is a guide, Hurricane Harvey will lead to
higher initial claims for unemployment insurance and perhaps a
slowdown in hiring for a month or two, before rebounding back to
trend.
Inflation was subdued in August, with both overall prices and core
prices (excluding food and energy) rising 1.4% over the last year.
Core inflation has been held down by a series of idiosyncratic
developments such as lower quality-adjusted prices for wireless
service plans earlier in the year, to sharply lower airfares in the
latest month. In the absence of any significant offsetting upside
surprises, inflation has drifted further from the Federal Reserve’s
2% target. Assuming no more downside surprises, inflation should
gradually rise because of further tightening in the labour market,
a decline in the exchange value of the US dollar, and stable
inflation expectations.
The Federal Reserve voted unanimously in September to begin
gradually normalising its balance sheet. Meanwhile, lawmakers are
looking to fund the Government and raise the debt ceiling. After
dealing with those must pass pieces of legislation, Congress will
begin work on a plan to cut household and business taxes. Given the
slow progress to date, it seems unlikely that significant new
legislation will be passed this year.
UK
Although economic activity in the UK has remained relatively soft,
the labour market has continued to improve; GDP grew by 0.3% q/q in
Q2, a relatively slow pace of growth after only having grown 0.2%
q/q in Q1. Retail sales bounced back in Q2 (+1.5% q/q), but
wholesale trade and car sales were still on the soft-side.
Moreover, construction and industrial production together detracted
from growth by 0.1ppts, reversing the positive contribution in the
previous quarter. House prices continued to slow in y/y terms on
the Halifax and Rightmove metrics while the composite Purchasing
Managers’ Index (“PMI”) fell by 0.1pts to 54.0 in August,
suggesting that the current pace of growth should be consistent
with recent trends, at or slightly below, potential growth.
However, it is worth noting that the small move in the composite
PMI consisted of a 2.6pt climb in the manufacturing PMI, now
sitting close to recent highs, which was offset by the services
PMI.
In general, the depreciation in sterling compared to its level 18
months ago should support growth. However, the uncertainty around
Brexit may limit sterling’s influence on growth, especially if
companies boost margins rather than production. Hence, the weakness
of the currency may not prove as stimulative as previous instances
of sterling depreciation.
Meanwhile, employment has continued to grow at a moderate pace of
1.1% y/y as of June. This has been enough for the unemployment rate
to continue its downtrend, reaching 4.4% in June, the lowest rate
since 1975. Inflation rose 0.3ppts to 2.9% y/y in August. Consumer
inflation has been trending upwards since the referendum vote on
the membership of the European Union, on account of the lower
exchange rate. Indicators of domestically generated inflation
remain relatively modest; wage inflation rose 0.2ppts to 2.1%
3m/12m in June, remaining well below levels that would be
consistent with keeping inflation at the target of 2% in the medium
term. The weakness in wages has occurred despite record low levels
of the unemployment rate. However, there are some signs that there
may be a pick-up in wages over the horizon; both the Recruitment
and Employment Confederation’s JobsOutlook survey and the Bank of
England’s labour market tightness survey suggest some potential for
higher wage growth. The mix of high consumer inflation and modest
wage inflation has led to a deterioration in real wages, which has
weighed down consumption in the first half of 2017. As wages
strengthen, and the influence of the exchange rate on consumer
prices wanes, real wages should eventually recover in the second
half of the year.
The dichotomy between a tighter labour market and only modest
economic activity has led to diverging views within the Bank of
England’s Monetary Policy Committee (“MPC”). At the August MPC
meeting, six members thought that the current policy stance
remained appropriate, whilst two members thought that the trade-off
between high inflation in the medium term and downside risks to
economic activity had diminished, and thus voted for a 25 basis
point (“bp”) increase in the policy rate. Compared to the previous
meeting there was one fewer dissenter but this was because Kristin
Forbes had ended her term and was replaced by Silvana Tenreyro, who
voted with the majority. At the most recent meeting the committee
also voted unanimously to allow the Term Funding Scheme (a tool
within the asset purchase facility used to support bank lending) to
expire as was planned. Furthermore, the meeting statement concluded
that “if the economy follows a path broadly consistent with the
August central projection, then monetary policy could need to be
tightened by a somewhat greater extent over the forecast period
than the path implied by the yield curve underlying the August
projections.” At the time, the market was pricing a 50bp
increase in the policy rate over three years. At the next MPC
meeting in September, the committee will return to nine voting
members, as was the norm prior to May. Sir David Ramsden was
recently appointed as Deputy Governor for Markets and Banking and
has become an active member of the committee.
EMU
The first actual indications on EMU activity in Q3 came on the soft
side. In July, industrial production was about flat m/m, while
exports, retail sales, and car registrations contracted modestly.
However, the first available indications suggest a better outturn
in August. Car registrations in major countries bounced back, while
the composite PMI stabilised, after having fallen for two months in
a row, at levels which suggest a rebound of activity especially in
manufacturing. Still, the pace of the expansion in the common areas
seems to have subsided somewhat from the relatively ebullient
levels of the first part of the year. On the inflation front, the
growth rate of the Harmonised Index of Consumer Prices (“HICP”)
rose from 1.3% to 1.5% y/y, a touch above consensus forecasts,
although the increase was only due to energy prices, since core
inflation stood at 1.2% y/y.
Compared to a couple of months ago, prospects for both growth and
inflation in the eurozone look somewhat more uncertain. The phase
of expansion of both global demand, especially due to the strength
of the Chinese economy, and domestic demand, is poised to find an
increasingly powerful offset, in the rapid rise of the euro, which
has risen more than 7% in effective terms since the beginning of
the year. The Governing Council of the European Central Bank
(“ECB”) made an explicit reference to this concern in the
introductory statement to the September policy meeting. This was
accompanied by a cut to the central bank inflation forecast, by 0.1
pts for 2018 and 0.2 pts for the core inflation forecast for 2019.
The ECB inflation forecast for the, policy relevant, two-year
horizon now stands at a mere 1.5%, thus departing from, rather than
converging with, the ECB definition of price stability relative to
six months ago. In an overall dovish press conference, President
Draghi suggested that in all likelihood the central bank will
provide indications at its October meeting on the calibration of
monetary policy beyond the expiration of the current quantitative
easing (“QE”) program at the end of 2017. The speed of the ECB’s
‘exit’ from the prolonged phase of unconventional policy will
depend crucially on the inflation outlook and the degree of
tightening of financial conditions, which is in turn closely linked
to the strength of the euro.
China
Activity data was mixed in August. The official PMI was stronger at
51.7 versus 51.4 for July, and the Caixin PMI also improved from
51.1 for July to 51.6 for August. Fixed Asset Investment growth was
recorded at 7.8% for August, slightly lower than the 8.2% expected.
Industrial Production growth was softer at 6.0% for August. Retail
sales softened again and printed 10.1% y/y for August. Inflation
rose to 1.8% from 1.4% in July. Producer prices were also higher
than the prior month printing 6.3%. On the external side, export
data worsened to 5.5% y/y for August and imports rose in August to
13.3% y/y, up from 11.0%. The seven day repo rate on average was
2.99% for August compared to 3.25% for July.
Japan
Japanese economic activity continues to grow at a solid pace. Q2
GDP was revised down, but the 2.5% annualised rate is still well
above potential growth. Consumption and investment were solid,
while a decline in real exports held down the overall gain.
Industrial production continues to move up and down, but smoothing
through the high-frequency volatility shows a solid overall pace.
The Shoko-Chukin survey of small and medium sized enterprises rose
to 50.6 in September, its highest level for a while. The Economy
Watchers diffusion index was unchanged in August, just below the 50
par line. Even so, while there were a couple of better months in
late 2016, the level of the diffusion index is still quite good by
the standards of the last few years. Above trend growth is
reflected in the unemployment rate; although unchanged on balance
for most of 2017, earlier declines put it on a multi-year downward
trend, the 2.8% rate in July is the lowest rate since 1995.
Output rising above potential has given some analysts further
confidence that Japanese inflation will move up towards the Bank of
Japan’s (“BoJ”) long-term goal of 2%. However, other data does not
point towards the same conclusion. The, so-called, western core
rate (all items excluding food and energy) was flat in July and
unchanged over the last twelve months. Tokyo prices rose in August,
but the increase only puts the Tokyo western core index to flat
over the last twelve months. There will need to be additional
increases to suggest that inflation is positive. Consumer inflation
expectations are a little higher than the first quarter of the year
but after rising in April have gone nowhere since. |
Enquiries |
The Company
Secretary
Northern Trust International Fund Administration Services
(Guernsey) Limited
bhfa@ntrs.com
+44 (0) 1481 745736 |
Important Legal Information and
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BH Macro Limited (“BHM") is a feeder fund investing in Brevan
Howard Master Fund Limited (the "Fund"). Brevan Howard Capital
Management LP (“BHCM”) has supplied certain information herein
regarding BHM’s and the Fund’s performance and outlook.
The material relating to BHM and the Fund included in this
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